| Period frequency |
1D |
Sampling frequency used for annualization. Smaller periods are generally more granular (but can be noisier). |
| Benchmark Asset |
BTC |
Column name of the benchmark asset used for alpha/beta and benchmark charts (if provided). |
| Simulation start date |
2023-08-09 00:00:00+00:00 |
First timestamp in the simulation index. Earlier start dates generally make estimates more statistically stable. |
| Simulation end date |
2025-12-06 00:00:00+00:00 |
Last timestamp in the simulation index. More recent end dates generally better reflect current market conditions. |
| First transaction date |
2023-08-09 00:00:00+00:00 |
First timestamp with any executed trade. Earlier is generally better (less time inactive), depending on the strategy. |
| Annualized return % |
0.954832 |
Geometric mean return annualized (decimal units). Higher is generally better, but interpret alongside risk and drawdowns. |
| Annualized volatility |
0.486381 |
Standard deviation of returns annualized (decimal units). Lower is generally better for a given return level. |
| Annualized Sharpe |
1.901456 |
Annualized excess return divided by annualized volatility. Higher is generally better (rule of thumb: >1 is good, >2 is strong). |
| Max drawdown (equity) % |
-30.015971 |
Worst peak-to-trough % decline in equity. Less negative (closer to 0) is generally better. |
| Max drawdown (PnL) % |
-213.575379 |
Worst drawdown of cumulative PnL relative to prior PnL peak. Less negative (closer to 0) is generally better. |
| Total return % |
373.578518 |
Ending equity / initial cash minus 1, expressed in percent. Higher is generally better. |
| Funding earnings |
10.013426 |
Sum of funding payments (positive means net earned). Higher is generally better; negative values mean funding cost. |
| Fees |
1310.870193 |
Sum of trading fees paid. Lower is generally better. |
| Annual turnover |
52.394012 |
Average per-period one-sided turnover annualized (not percent), computed as min(total buys, total sells) / equity before trading. Lower is generally better (less trading/costs), unless the strategy requires frequent rebalancing. |
| Total order count |
52421 |
Count of non-zero notional orders executed. Lower generally means less trading (and costs), but too low can indicate inactivity. |
| Average order notional |
100.02634 |
Mean absolute notional per executed order. Good depends on liquidity and constraints; too large can be hard to execute. |
| Gross exposure mean % |
128.741476 |
Average sum(|positions|) as % of equity. Lower generally means less leverage; values above 100% indicate leveraged exposure. |
| Gross exposure median % |
125.958446 |
Median sum(|positions|) as % of equity. Lower generally means less leverage; values above 100% indicate leveraged exposure. |
| Gross exposure max % |
400.43439 |
Maximum sum(|positions|) as % of equity. Lower generally means tighter leverage control; very high peaks imply occasional high leverage. |
| Net exposure mean % |
-0.848327 |
Average signed exposure as % of equity. Closer to 0 is generally more market-neutral; positive means net long, negative net short. |
| Net exposure median % |
-0.132525 |
Median signed exposure as % of equity. Closer to 0 is generally more market-neutral; positive means net long, negative net short. |
| Net exposure max % |
128.13548 |
Max absolute signed exposure as % of equity. Lower absolute values generally mean better exposure control. |
| Alpha |
0.787718 |
Annualized intercept vs benchmark excess returns (CAPM-style). Higher is generally better; near 0 implies little outperformance after adjusting for beta. |
| Beta |
-0.057862 |
Slope vs benchmark excess returns (CAPM-style). Values near 1 behave like the benchmark; values near 0 have low benchmark sensitivity. |
| Benchmark annualized return % |
60.570186 |
Benchmark geometric mean return annualized (percent units). Higher is generally better, but depends on your benchmark choice and sample. |
| Active annual return % |
20.026842 |
Arithmetic mean of (strategy - benchmark) period returns annualized (percent units). Higher is generally better; negative means underperformance vs the benchmark. |
| Tracking error |
0.697184 |
Std dev of active returns annualized (decimal units). Lower means closer to the benchmark; higher means more active risk. |
| Information ratio |
0.287253 |
Active annual return divided by tracking error. Higher is generally better (rule of thumb: >0.5 is decent, >1 is strong). |
| R2 vs benchmark |
0.003165 |
Squared correlation of returns vs benchmark returns. Higher means the benchmark explains more of the returns; lower implies more idiosyncratic behavior. |
| Calmar ratio |
3.18108 |
Annualized return divided by absolute max equity drawdown. Higher is generally better (more return per unit of drawdown). |
| Skewness |
2.387562 |
Skewness of period returns distribution. More positive skewness is often preferred (more upside tail), all else equal. |
| Kurtosis |
27.531241 |
Kurtosis of period returns distribution. Lower generally means fewer extreme tail events; high kurtosis suggests fat tails. |
| Best period return |
0.286998 |
Maximum single-period return. Higher is generally better, but interpret alongside worst-period and drawdowns. |
| Worst period return |
-0.127536 |
Minimum single-period return. Less negative (closer to 0) is generally better. |
| Hit rate |
0.527059 |
Fraction of non-zero return periods that are positive. Higher is generally better. |
| Avg win |
0.018113 |
Mean return of positive-return periods. Higher is generally better. |
| Avg loss |
-0.015632 |
Mean return of negative-return periods. Less negative (closer to 0) is generally better. |
| Profit factor |
1.291312 |
Sum of wins divided by absolute sum of losses. Higher is generally better; values >1 mean wins outweigh losses. |
| Max drawdown duration (periods) |
130 |
Longest consecutive underwater duration in periods. Shorter is generally better (capital recovers faster). |
| Time to recovery (periods) |
131 |
Periods from drawdown peak to recovering the prior peak. Shorter is generally better. |
| Average holding period |
26.710457 |
Average consecutive periods with a non-zero position per asset. Good depends on the strategy; shorter implies more trading, longer implies lower turnover. |
| Costs % gross pnl |
14.926118 |
Fees+slippage as % of gross PnL (before costs). Lower is generally better; near 0 means costs are small relative to edge. |
| Funding % total pnl |
0.026804 |
Funding as % of net PnL. Lower absolute values are generally better; large magnitudes mean funding dominates PnL. |
| Average funding settled |
0.011767 |
Average funding payment per period. Positive is generally better; negative means funding paid on average. |
| Max abs weight |
2.020014 |
Maximum absolute target weight across assets/periods. Lower is generally better (less concentration/leverage), given the strategy's intent. |
| Mean abs weight |
0.040634 |
Mean absolute target weight across assets/periods. Lower is generally better (less aggregate risk), given the strategy's intent. |